Order book depth is the volume of unexecuted limit orders available to buy and to sell at each price in an order book. Depth at the best prices shows how much can be traded immediately at the quoted bid-ask spread; depth further away shows how far the price would move if a larger order consumed successive levels. A deep book can absorb sizeable orders with little price change, while a shallow one produces greater market impact.
Depth is one of the standard measures of liquidity, alongside the spread and the speed at which the book refills. It is often displayed as a depth chart of cumulative quantity against price. Displayed depth understates true liquidity, because hidden and iceberg orders are not shown, and it can vanish quickly in stressed markets when liquidity providers cancel their orders. Factors such as the minimum price increment and the number of competing venues affect how depth is distributed.